Missing Data in VaR Calculation

How do you treat your missing data?

VaR calculation requires a lot of price data. Some are auto-feed, and others are collected manually. And there are cases when the prices are not available, for example, it was your company holiday, you have a system problem, or simply your broker went on vacation and forget to send you updated price indication. Then how do you treat the missing data?

In my project, some set it blank, or mark the daily price as NA (not-available). Some just roll forward yesterday’s (most recent) prices, thus, in this case, the return would be calculated as zero. The practice has some impact on VaR calculation, especially for hedge positions. Continue Reading in LinkedIn